www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputetheDeltaandGammaofanAmericanBarrierDownInPutOptioExample.m
%% Compute the Delta and Gamma of an American Barrier Down In Put Option %% % Compute the price of an American down in put option using the following data: Rates = 0.0325; Settle = '01-Jan-2016'; Maturity = '01-Jan-2017'; Compounding = -1; Basis = 1; %% % Define a |RateSpec|. RateSpec = intenvset('ValuationDate',Settle,'StartDates',Settle,'EndDates',Maturity, ... 'Rates',Rates,'Compounding',Compounding,'Basis',Basis) %% % Define a |StockSpec|. AssetPrice = 40; Volatility = 0.20; StockSpec = stockspec(Volatility,AssetPrice) %% % Calculate the delta and gamma of an American barrier down in put option. Strike = 45; OptSpec = 'put'; Barrier = 35; BarrierSpec = 'DI'; AmericanOpt = 1; OutSpec = {'delta','gamma'}; [Delta,Gamma] = barriersensbyls(RateSpec,StockSpec,OptSpec,Strike,Settle,... Maturity,BarrierSpec,Barrier,'NumTrials',2000,'AmericanOpt',AmericanOpt,'OutSpec',OutSpec)